Terminal illness with zero hope, yes. Otherwise it's just you being overly sensitive about your life. Depression in first-world countries are just a predictable combination of your environment, society, family, expectations which your brain just says 'fuck that'. If depression was truly a killer then I'm surprised most homeless people haven't and fell from their local crane.
Being dead is much better than living at times. For instance, let's say you are driving and you mistakenly run over a little child who just happens to run to the street out of no where while you are crossing. All the responsibility falls upon you and you are put in debt for basically your whole life for the little kid. I'd rather be dead in this situation rather than having to suffer stress for my whole life and also with the guilt of this incident.
I mean, if someone wants to do it they can do it, no one can stop it. I believe if someone is dying, or let's say a person got into a bad car accident and they became a vegetable, then I believe they should be able to go on. My dad always told me, if he is in a wheel chair or doesn't know who we are? Then he wants me to be the one to call the shot and let him go.
Assuming you mean assisted suicide, I would say yes. With limitations. My opinion is that they should be able to make that choice, but they must wait something like a year or two between making the decision and actually having it happen, so they have time to truly think it over.